債券到期日分散程度對公司信用風險的影響

Abstract

本研究觀察債券到期日分散程度是否會影響公司的信用風險。過去論文指出，當面臨較高的展期風險時，公司會提高債務到期日的分散程度。本論文的主要觀點為，債券到期日分散程度越高，公司信用風險會降低。與此假設一 致，透過 Panel 迴歸實證發現債券到期日分散程度與信用風險顯著負相關。 若進一步以信用風險高低、2008 年金融海嘯等條件進行樣本分組，可發現對於信用風險高的公司，越高的債券到期日分散程度將能降低信用風險。2008 年金融海嘯後，對於信用風險高的公司，債券到期日分散程度具有風險分散效果，因此可推論 2008 年金融海嘯事件，讓市場更重視高風險公司債務期限的分散性。

This study examines whether the dispersion of bond maturity dates affects a company's credit risk. Past literature has indicated that companies increase the dispersion of debt maturity dates when facing higher rollover risk. The main argument of this paper is that higher dispersion of bond maturity dates leads to a reduction in a company's credit risk. Consistent with this hypothesis, empirical evidence from panel regression suggests a significant negative correlation between the dispersion of bond maturity dates and corporate credit risk. Further subgroup analysis based on the level of credit risk and the periods before and after the 2008 financial crisis reveals that for companies with high credit risk, a higher dispersion of bond maturity dates can reduce credit risk. After the 2008 financial crisis, a higher dispersion of bond maturity dates has risk-diversifying effects for companies with high credit risk. Therefore, it can be inferred that the 2008 financial crisis has led the market to place greater emphasis on the dispersion of debt maturities for high-risk companies.